CAP Workshop Series on Mathematical Finance:

2003 Speakers:

  • Robert Jarrow, (Cornell): A Reduced Form Theory of the Firm
  • Marco Avellaneda, (NYU): A market-induced mechanism for stock pinning
  • Jean-Pierre Fouque, (North Carolina State): Multiscale stochastic volatility
  • Kay Giesecke, (Cornell): The Market Price of Credit Risk
  • Vicky Henderson, (Princeton): A comparison of q-optimal option prices in a stochastic volatility model with correlation
  • David Li, (Citigroup): Pricing and hedging synthetic CDO transactions
  • Vladimir Piterbarg, (Bank of America): Pricing and hedging callable Libor exotics in forward Libor models
  • Barry Schacter, (SAC Capital): Problems of performance measurement in hedge funds

2002 Speakers:

  • Alan Brace, (BNP Paribas): Markovian Models in the Stochastic Implied Volatility Framework
  • Pierre Collin-Dufresne, (Carnegie-Mellon University): Generalizing the Affine Framework to HJM and Random Field Models
  • Jaksa Cvitanic, (University of Southern California): An Intertemporal Model of Active Portfolio Management
  • Craig Friedman, (Standard & Poors): Learning Models for Credit Risk
  • Martin Haugh, (Columbia University): Hedging Financial Risks in Supply Chain Management
  • Marco Naldi, (Lehman Brothers): CDO Analysis: Beyond the CADR Assumption
  • Dmitry Pugachevsky, (Bear Stearns): Efficient Modeling of Default Correlations
  • Carlos Sin, (UBS Warburg): Interest Rate Models that are Stable Under Measure Change

2001 Speakers:

  • Philipp Schoenbucher, (Bonn University): Pricing Exotic Credit Derivatives
  • Zhifeng Zhang, (Morgan Stanley): Simulating Correlated Default Arrival Times and Pricing Basket Default Swaps
  • David Chasman, (Sempra Energy Trading): Managing 'Simple' and Not-So-Simple Energy Risk
  • Richard Sandor, (Environmental Financial Products): The Chicago Climate Exchange:  Creating a Market for Greenhouse Gas Emissions Trading
  • Michael Johannes, (Columbia Business School): The Impact of Jumps in Volatility and Returns
  • Alan Lewis, (OptionCity.net): A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes
  • Nick Webber, (University of Warwick): Lattice Methods for Levy Processes
  • Steve Heston, (Goldman Sachs): The Expectations Puzzle in a Log-Linear Bond Model
  • Phelim Boyle, (University of Waterloo): Monte Carlo Methods for Asset Allocation

2000 Speakers:


1999 Speakers:

  • Robert Engle, (University of California San Diego and NYU): CAViaR: Conditional Value at Risk By Regression Quantiles
  • Simon Babbs, (Bank One): Conditional Gaussian Models of the Term Structure of Interest Rates
  • Silverio Foresi, (Goldman, Sachs & Co): Affine Models of the Term Structure: Implementation of  Derivative Pricing via Arrow-Debreu Prices
  • Francis Diebold, (Wharton): Range-Based Estimation of Stochastic Volatility Models, with Application to Exchange Rate Dynamics
  • David Modest, (Long Term Capital Management): LTCM: An Internal Perspective
  • John Hull, (University of Toronto): Forward rate volatilities, swap rate volatilities, and the implementation of the LIBOR market model
  • John Schoenmakers, (Weierstrass Institute): Log-normal Approximation and Robust Calibration of a Multi-Factor LIBOR Market Model (paper1, paper2)
  • Jesper Andreasen, (General Re Financial Products):  Jump-Diffusion Processes: Volatility Smile Fitting and     Numerical Methods for Pricing (talk)
  • Peter Forsyth, (University of Waterloo): Pricing path dependent options: the curse of interpolation
  • Steve Kou, (Columbia University): A Jump Diffusion Model for Option Pricing with the Property of High Peak and Heavy Tails
  • Joe Zhou, (Goldman Sachs): Valuing Options on Baskets of Stocks and Forecasting the Shape of Volatility Skews--A Practitioner's Approach (paper, talk)
  • Geert Bekaert, (Columbia University): International Asset Allocation with Time-varying Correlations
  • Dick Jefferis, (Koch Industries): Weather Derivatives and Industrial Risk Management
  • Helyette Geman, (ESSEC): Weather, Electricity, and Insurance Derivatives (talk)

1998 Speakers:

  • Kaushik Amin (Lehman Brothers, New York): Emerging Market Derivatives
  • Leif Anderson (General Re Financial Products): Volatility Skews and Extensions of the Libor Market Model
  • Eric Briys (Lehman Brothers, London): Early Default, Absolute Priority Rule Violations and The Pricing of Risky Fixed Rate Debt
  • Alexander Eydeland (Southern Energy): Pricing Power Derivatives
  • Pat Hagan (Banque Paribas): Equivalent Black Volatilities
  • Chris Heyde (Columbia University): Statistical Realities for Financial Time Series
  • Vincent Kaminski (Enron): Value-at-Risk for Portfolios of Energy Derivatives
  • Damien Lamberton (Universite de Marne la Vallee): Random Walk Approximation and Option Prices
  • Bill Morokoff (Goldman Sachs): Applications of the Brownian Bridge to Derivatives Pricing and Risk
  • Art Owen (Stanford University): Safe and Effective Importance Sampling
  • Louis Scott (Morgan Stanley): The Pricing of Default Options and Credit Derivatives
  • L.A.Shepp (Rutgers University): Option Pricing Without Completeness and Non-arbitrage
  • Stuart Turnbull (Queen's University and CIBC): The Intersection Market and Credit Risk

1997 Speakers:

  • O. Cheyette (Barra): Implied Prepayments
  • G. Constantinides (U. of Chicago): Transaction Costs and the Pricing of Derivatives Perspective and Recent Developments
  • F. Delbaen (ETH, Zurich): Arbitrage Theory and Martingale Problems
  • R. Engle (U. of California, San Diego): Time and the Price Impact of a Trade
  • S. Figlewski (New York U.): The Adaptive Mesh Model: A New Approach to Efficient Option Pricing
  • S. Grossman (U. of Pennsylvania, Wharton School): Aspects of Portfolio Insurance
  • F. Jamshidian (Sakura Capital Markets): LIBOR and Swap Market Models and Measures
  • M. Musiela (U. of New South Wales): Exotic Interest Rate Options
  • A. Pelsser (ABN-Amro Bank): Pricing Double Barrier Options using Analytical Inversion of Laplace Transforms"
  • R. Rebonato (Barclays Bank): Correlation, Instantaneous Volatility and the Evolution of the Term Structure of Volatilities in the Pricing of Interest-Rate Options
  • P. Ritchken (Case Western U.): Pricing Options Under Generalized GARCH and Stochastic Volatility Processes
  • Y. Ait Sahalia (U. of Chicago): Nonparametric Risk Management and Implied Risk Aversion
  • J. Sidenius (SimCorp): Examining Multi-factor Market Models

1996 Speakers:

  • P. Bloomfield (Merrill Lynch)
  • P. Carr (Morgan Stanley)
  • J. Detemple (McGill U., Canada)
  • P. Embrechts (ETH, Switzerland)
  • B. Flesaker (Bear Stearns)
  • G.Chichilnisky (Columbia University)
  • H. Leland (U. Calif. Berkeley)
  • A. Lo (MIT)
  • E. Peters (Pan Agora Asset Mgmt)
  • E. Reiner (UBS Securities)
  • S. Ross (Yale U.)
  • W.Segal (Dept. Housing and Urban Development, Washington)
  • S. Shreve (Carnegie Mellon U.)

1995 Speakers:

  • Mark Davis (Mitsubishi Finance): Option hedging and risk-constrained portfolios
  • Emmanuel Derman (Goldman Sachs): Financial Modeling on Wall Street: A Physicist's perspective
  • Raphael Douady (Ecole Normale Superiere and Societe Generale): Infinite dimensional models for the yield curve (Exploiting the smoothness)
  • Hans Fö llmer (Humboldt U.): Different approaches to incompleteness
  • Marco Frittelli (U. Milan, Italy): Valuation principle in security markets models with frictions
  • Paul Glasserman (Columbia U.): Pricing American options by simulation
  • Michael Hieb (UBS Securities): Practical issues in risk management
  • Lane Hughston (Merril Lynch):
  • Dilip Madan (U. Maryland): Estimation of risk neutral and statistical densities using the variance gamma process
  • Antonio Paras (New York U.): Managing the volatility risk of exotic derivatives with vanilla options: uncertain volatility model (UVM)
  • Eckhard Platen (Australian National U.): An attempt to explain the interest rate term structure
  • Wolfgang Runggaldier (U. Padua, Italy): Bond markets when prices are driven by general marked point processes
  • John van der Hoek (U. Adelaide, Australia): Evaluation of American options using a method of lines
  • Paul Wilmott (Oxford U.): Research in mathematical finance at Oxford University
  • Joe Zhou (Bear, Sterns & Co. Inc.): A basic model of commodity price behaviour

1994 Speakers:

  • M. Avellaneda (Courant Institute, New York U.): Valuation and dynamical hedging of derivative securities in the presence of transaction costs: binomial and lognormal models
  • P. Boyle (U. Waterloo, Canada) : Quasi-random Monte Carlo
  • M. Broadie (Columbia U.): American option valuation: new bounds, approximations, and a comparison of existing methods
  • S. Browne (Columbia U.): Optimal investment policies for a firm with a random risk process
  • P. Carr (Cornell U.): Fast accurate valuations of American options
  • D. Heath (Cornell U.): Modeling the random evolution of the term structure of interest rates: the HJM framework
  • R. Mark (Canadian Imperial Bank of Commerce): Risk management
  • A. Mirabelli (Kidder Peabody): Pricing mortgages
  • E. Platen (Australian National U.): Application of stochastic numerical methods in derivative pricing
  • R. Skora (Sumitomo Bank Capital Markets): Measuring credit risk in derivative transactions
  • S. Sundaresan (Columbia U.): Design and valuation of debt contracts
  • J. Traub (Columbia U.): Computational complexity of high dimensional integration with applications to finance
  • W. Willinger (Bellcore): FBM modeling of stock prices and some of the implications for option pricing


For general CAP inquiries:
(Chris Heyde, Director of CAP)
(Karl Sigman, Secretary of CAP)